Posted by
Toyin Akin-4 on
Oct 22, 2002; 1:41am
URL: http://quantlib.414.s1.nabble.com/RE-Delta-on-CapFloor-Final-tp2269p2273.html
Andre,
I agree entirely.
Best Regards,
Toyin Akin.
----- Original Message -----
From: "Andre Louw" <
[hidden email]>
To: "QuantlibUsers (E-mail)" <
[hidden email]>
Sent: Tuesday, October 22, 2002 8:45 AM
Subject: [Quantlib-users] RE:Delta on CapFloor (Final?)
> Hi again,
>
> I've been reading, studying and once again thinking about all that's been
> said, as well as my original question on a total Delta for a CapFloor. The
> conclusion I've come to is as follows:
>
> It's confusing to talk about 'Delta' on a Cap/Floor instrument, seeing as
it
> is a portfolio of options. What I'm looking for is a 'Hedge ratio' for a
> Cap/Floor using a Swap instrument. This is very simply the ratio between
the
> Cap/Floor's sensitivity to a 1bp move in the underlying termstructure
versus
> the same on a Swap with an EQUIVALENT structure (not assuming this is the
> underlying for the Cap/Floor - just a strip of FRA's with the same
STRUCTURE
> as that of the Cap/Floor).
>
> Xavier, is that not exactly what you were saying?
>
> I think this has cleared it up for me, please feel free to burst my bubble
> if you differ!
>
> Andre
>
>
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